Blame for train_strategy_models.py

import pandas as pd
import numpy as np
from xgboost import XGBClassifier
from sklearn.metrics import accuracy_score, classification_report
import ta
import joblib
import os
from sklearn.model_selection import train_test_split, TimeSeriesSplit

def preprocess_data(df):
    """Prétraitement des données avec calcul des indicateurs techniques"""
    
    # Convertir les colonnes en float si nécessaire
    price_columns = ['Close', 'High', 'Low', 'Open']
    for col in price_columns:
        df[col] = pd.to_numeric(df[col], errors='coerce')
    
    # Calculer les indicateurs techniques
    # RSI
    df['RSI'] = ta.momentum.RSIIndicator(df['Close'], window=14).rsi()
    
    # ADX
    adx = ta.trend.ADXIndicator(df['High'], df['Low'], df['Close'], window=14)
    df['ADX'] = adx.adx()
    
    # Volatilité
    df['Volatility_20'] = df['Close'].rolling(window=20).std()
    
    # MACD
    macd = ta.trend.MACD(df['Close'])
    df['MACD'] = macd.macd()
    
    # Ichimoku
    ichimoku = ta.trend.IchimokuIndicator(df['High'], df['Low'])
    df['Tenkan_sen'] = ichimoku.ichimoku_conversion_line()
    df['Kijun_sen'] = ichimoku.ichimoku_base_line()
    df['Senkou_Span_A'] = ichimoku.ichimoku_a()
    df['Senkou_Span_B'] = ichimoku.ichimoku_b()
    df['Chikou_Span'] = df['Close'].shift(-26)
    
    # Calcul des signaux des stratégies
    df['Ichimoku_ADX_Volatility_Signal'] = calculate_ichimoku_adx_volatility_signal(df)
    df['BB_Stoch_ATR_Signal'] = calculate_bb_stoch_atr_signal(df)
    df['Chikou_MACD_Pente_Signal'] = calculate_chikou_macd_signal(df)
    df['ADX_Stoch_Volatility_MA_Signal'] = calculate_adx_stoch_volatility_signal(df)
    
    # Ajouter les colonnes temporelles
    df['hour'] = pd.to_datetime(df.index).hour
    df['day'] = pd.to_datetime(df.index).day
    df['month'] = pd.to_datetime(df.index).month
    
    return df

def calculate_ichimoku_adx_volatility_signal(df):
    """Calcul du signal Ichimoku + ADX + Volatilité"""
    signal = np.zeros(len(df))
    
    # Conditions pour le signal
    bullish = (df['Close'] > df['Senkou_Span_A']) & \
              (df['Close'] > df['Senkou_Span_B']) & \
              (df['ADX'] > 25) & \
              (df['Volatility_20'] < df['Volatility_20'].rolling(5).mean())
    
    bearish = (df['Close'] < df['Senkou_Span_A']) & \
              (df['Close'] < df['Senkou_Span_B']) & \
              (df['ADX'] > 25) & \
              (df['Volatility_20'] < df['Volatility_20'].rolling(5).mean())
    
    signal[bullish] = 1
    signal[bearish] = -1
    
    return signal

def calculate_bb_stoch_atr_signal(df):
    """Calcul du signal Bollinger + Stochastique + ATR"""
    bb = ta.volatility.BollingerBands(df['Close'])
    stoch = ta.momentum.StochasticOscillator(df['High'], df['Low'], df['Close'])
    atr = ta.volatility.AverageTrueRange(df['High'], df['Low'], df['Close'])
    
    signal = np.zeros(len(df))
    
    bullish = (df['Close'] < bb.bollinger_lband()) & \
              (stoch.stoch() < 20) & \
              (atr.average_true_range() < atr.average_true_range().rolling(5).mean())
    
    bearish = (df['Close'] > bb.bollinger_hband()) & \
              (stoch.stoch() > 80) & \
              (atr.average_true_range() < atr.average_true_range().rolling(5).mean())
    
    signal[bullish] = 1
    signal[bearish] = -1
    
    return signal

def calculate_chikou_macd_signal(df):
    """Calcul du signal Chikou Span + MACD"""
    signal = np.zeros(len(df))
    
    bullish = (df['Chikou_Span'] > df['Close'].shift(26)) & \
              (df['MACD'] > 0)
    
    bearish = (df['Chikou_Span'] < df['Close'].shift(26)) & \
              (df['MACD'] < 0)
    
    signal[bullish] = 1
    signal[bearish] = -1
    
    return signal

def calculate_adx_stoch_volatility_signal(df):
    """Calcul du signal ADX + Stochastique + Volatilité"""
    stoch = ta.momentum.StochasticOscillator(df['High'], df['Low'], df['Close'])
    
    signal = np.zeros(len(df))
    
    bullish = (df['ADX'] > 25) & \
              (stoch.stoch() < 20) & \
              (df['Volatility_20'] < df['Volatility_20'].rolling(5).mean())
    
    bearish = (df['ADX'] > 25) & \
              (stoch.stoch() > 80) & \
              (df['Volatility_20'] < df['Volatility_20'].rolling(5).mean())
    
    signal[bullish] = 1
    signal[bearish] = -1
    
    return signal

def calculate_strategy_performance(df, strategies, look_ahead=10):
    """
    Calcule les performances (profit et drawdown) pour chaque stratégie
    """
    max_profits = np.zeros((len(df), len(strategies)))
    max_drawdowns = np.zeros((len(df), len(strategies)))
    
    for i in range(len(df) - look_ahead):
        close_start = df['Close'].iloc[i]
        future_closes = df['Close'].iloc[i:i + look_ahead + 1].values
        future_highs = df['High'].iloc[i:i + look_ahead + 1].values
        future_lows = df['Low'].iloc[i:i + look_ahead + 1].values
        
        for j, strategy in enumerate(strategies):
            signal = df[strategy].iloc[i]
            
            if signal == 1:  # Achat
                max_profit = (max(future_highs) - close_start) / close_start * 100
                max_drawdown = (close_start - min(future_lows)) / close_start * 100
                max_profits[i, j] = max_profit
                max_drawdowns[i, j] = max_drawdown if max_drawdown > 0 else 0
            
            elif signal == -1:  # Vente
                max_profit = (close_start - min(future_lows)) / close_start * 100
                max_drawdown = (max(future_highs) - close_start) / close_start * 100
                max_profits[i, j] = max_profit
                max_drawdowns[i, j] = max_drawdown if max_drawdown > 0 else 0
            
            else:  # Neutre
                max_profits[i, j] = 0
                max_drawdowns[i, j] = 0
    
    # Identifier la meilleure stratégie pour le profit
    best_strategy_max_profit = np.argmax(max_profits, axis=1)
    
    # Identifier la stratégie qui minimise le drawdown
    best_strategy_max_drawdown = np.full(len(df), -1, dtype=int)
    for i in range(len(df)):
        active_strategies = np.where(max_drawdowns[i, :] > 0)[0]
        if len(active_strategies) > 0:
            min_drawdown_idx = active_strategies[np.argmin(max_drawdowns[i, active_strategies])]
            best_strategy_max_drawdown[i] = min_drawdown_idx
    
    return best_strategy_max_profit, best_strategy_max_drawdown

def train_models(df):
    """Entraînement des modèles de sélection de stratégie avec split temporel"""
    
    strategies = [
        'Ichimoku_ADX_Volatility_Signal',
        'BB_Stoch_ATR_Signal',
        'Chikou_MACD_Pente_Signal',
        'ADX_Stoch_Volatility_MA_Signal'
    ]
    
    continuous_features = ['RSI', 'ADX', 'Volatility_20', 'MACD']
    features = strategies + continuous_features
    
    # Calcul des meilleures stratégies basé sur les performances
    print("Calcul des performances des stratégies...")
    best_strategy_max_profit, best_strategy_max_drawdown = calculate_strategy_performance(df, strategies)
    
    # Préparation des données
    X = df[features].values
    y_profit = best_strategy_max_profit
    y_drawdown = best_strategy_max_drawdown
    
    # Supprimer les lignes où y_drawdown est -1
    valid_drawdown_mask = y_drawdown != -1
    X_drawdown = X[valid_drawdown_mask]
    y_drawdown = y_drawdown[valid_drawdown_mask]
    
    # Division temporelle des données (80% train, 20% test)
    train_size_profit = int(len(X) * 0.8)
    train_size_drawdown = int(len(X_drawdown) * 0.8)
    
    # Split pour le modèle de profit
    X_train_profit = X[:train_size_profit]
    X_test_profit = X[train_size_profit:]
    y_train_profit = y_profit[:train_size_profit]
    y_test_profit = y_profit[train_size_profit:]
    
    # Split pour le modèle de drawdown
    X_train_drawdown = X_drawdown[:train_size_drawdown]
    X_test_drawdown = X_drawdown[train_size_drawdown:]
    y_train_drawdown = y_drawdown[:train_size_drawdown]
    y_test_drawdown = y_drawdown[train_size_drawdown:]
    
    # Afficher la distribution temporelle
    print("\nPériode d'entraînement profit:")
    print(f"Du : {df.index[0]}")
    print(f"Au : {df.index[train_size_profit-1]}")
    print("\nPériode de test profit:")
    print(f"Du : {df.index[train_size_profit]}")
    print(f"Au : {df.index[-1]}")
    
    # Validation avec TimeSeriesSplit
    tscv = TimeSeriesSplit(n_splits=5)
    
    # Entraînement du modèle de profit
    print("\nEntraînement du modèle de profit maximal...")
    model_profit = XGBClassifier(
        n_estimators=100,
        learning_rate=0.1,
        max_depth=5,
        random_state=42,
        eval_metric='mlogloss'
    )
    
    # Validation croisée temporelle pour le modèle de profit
    print("\nValidation croisée temporelle pour le modèle de profit:")
    for fold, (train_index, val_index) in enumerate(tscv.split(X_train_profit)):
        X_fold_train, X_fold_val = X_train_profit[train_index], X_train_profit[val_index]
        y_fold_train, y_fold_val = y_train_profit[train_index], y_train_profit[val_index]
        
        model_profit.fit(X_fold_train, y_fold_train)
        fold_score = model_profit.score(X_fold_val, y_fold_val)
        print(f"Fold {fold + 1} - Score: {fold_score:.4f}")
    
    # Entraînement final sur l'ensemble complet d'entraînement
    model_profit.fit(
        X_train_profit,
        y_train_profit,
        eval_set=[(X_train_profit, y_train_profit), (X_test_profit, y_test_profit)],
        verbose=True
    )
    
    # Même processus pour le modèle de drawdown
    print("\nEntraînement du modèle de drawdown minimal...")
    model_drawdown = XGBClassifier(
        n_estimators=100,
        learning_rate=0.1,
        max_depth=5,
        random_state=42,
        eval_metric='mlogloss'
    )
    
    print("\nValidation croisée temporelle pour le modèle de drawdown:")
    for fold, (train_index, val_index) in enumerate(tscv.split(X_train_drawdown)):
        X_fold_train, X_fold_val = X_train_drawdown[train_index], X_train_drawdown[val_index]
        y_fold_train, y_fold_val = y_train_drawdown[train_index], y_train_drawdown[val_index]
        
        model_drawdown.fit(X_fold_train, y_fold_train)
        fold_score = model_drawdown.score(X_fold_val, y_fold_val)
        print(f"Fold {fold + 1} - Score: {fold_score:.4f}")
    
    # Entraînement final
    model_drawdown.fit(
        X_train_drawdown,
        y_train_drawdown,
        eval_set=[(X_train_drawdown, y_train_drawdown), (X_test_drawdown, y_test_drawdown)],
        verbose=True
    )
    
    # Évaluation des modèles
    y_pred_profit = model_profit.predict(X_test_profit)
    y_pred_drawdown = model_drawdown.predict(X_test_drawdown)
    
    print("\nPerformance du modèle de profit maximal sur les données de test:")
    print(classification_report(
        y_test_profit,
        y_pred_profit,
        target_names=strategies
    ))
    
    print("\nPerformance du modèle de drawdown minimal sur les données de test:")
    print(classification_report(
        y_test_drawdown,
        y_pred_drawdown,
        target_names=strategies
    ))
    
    # Sauvegarder les périodes d'entraînement et de test
    split_info = {
        'profit': {
            'train_start': df.index[0],
            'train_end': df.index[train_size_profit-1],
            'test_start': df.index[train_size_profit],
            'test_end': df.index[-1]
        },
        'drawdown': {
            'train_start': df.index[valid_drawdown_mask][0],
            'train_end': df.index[valid_drawdown_mask][train_size_drawdown-1],
            'test_start': df.index[valid_drawdown_mask][train_size_drawdown],
            'test_end': df.index[valid_drawdown_mask][-1]
        }
    }
    
    return model_profit, model_drawdown, features, strategies, split_info

def save_models(model_profit, model_drawdown, features, strategies, split_info):
    """Sauvegarde des modèles entraînés et leurs paramètres"""
    if not os.path.exists('models'):
        os.makedirs('models')
    
    joblib.dump(model_profit, 'models/model_profit.joblib')
    joblib.dump(model_drawdown, 'models/model_drawdown.joblib')
    
    model_params = {
        'features': features,
        'strategies': strategies,
        'split_info': split_info  # Sauvegarder les périodes d'entraînement et de test
    }
    joblib.dump(model_params, 'models/model_params.joblib')
    
    print("Modèles et paramètres sauvegardés dans le dossier 'models/'")

def predict_best_strategy(new_data):
    """
    Prédit la meilleure stratégie pour de nouvelles données
    """
    # Charger les modèles et paramètres
    model_profit = joblib.load('models/model_profit.joblib')
    model_drawdown = joblib.load('models/model_drawdown.joblib')
    params = joblib.load('models/model_params.joblib')
    
    # Prétraiter les nouvelles données
    processed_data = preprocess_data(new_data)
    
    # Préparer les features
    X = processed_data[params['features']].values
    
    # Faire les prédictions
    profit_strategy_idx = model_profit.predict(X)
    drawdown_strategy_idx = model_drawdown.predict(X)
    
    # Obtenir les probabilités de prédiction
    profit_proba = model_profit.predict_proba(X)
    drawdown_proba = model_drawdown.predict_proba(X)
    
    # Convertir les indices en noms de stratégies
    profit_strategy = params['strategies'][profit_strategy_idx[-1]]
    drawdown_strategy = params['strategies'][drawdown_strategy_idx[-1]]
    
    return {
        'best_profit_strategy': profit_strategy,
        'profit_confidence': float(np.max(profit_proba[-1])),
        'best_drawdown_strategy': drawdown_strategy,
        'drawdown_confidence': float(np.max(drawdown_proba[-1]))
    }

def main():
    print("Chargement des données...")
    df=pd.read_csv('EURUSD_4H.csv',sep=';',index_col=0,parse_dates=True)
    
    print("Prétraitement des données...")
    df = preprocess_data(df)
    
    print("Entraînement des modèles...")
    model_profit, model_drawdown, features, strategies, split_info = train_models(df)
    
    print("Sauvegarde des modèles...")
    save_models(model_profit, model_drawdown, features, strategies, split_info)

if __name__ == "__main__":
    main()